Yingzi Zhu

Tsinghua University - School of Economics & Management

Professor

Beijing, 100084

China

SCHOLARLY PAPERS

17

DOWNLOADS
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25,509

CITATIONS
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in Total Papers Citations

43

Scholarly Papers (17)

1.

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 6,616 (847)

Abstract:

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Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

2.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 5,455 (1,173)

Abstract:

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Momentum, crashes, downside risk, stop-loss orders

3.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads 3,315 (2,829)
Citation 1

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Technical analysis, trading rules, asset allocation, predictability, learning

4.

An E-Arch Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997
Marco Avellaneda and Yingzi Zhu
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads 2,595 (4,305)
Citation 10

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5.

Variance Term Structure and VIX Futures Pricing

Number of pages: 24 Posted: 25 Apr 2005
Yingzi Zhu and Jin E. Zhang
Tsinghua University - School of Economics & Management and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 2,099 (6,128)
Citation 12

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Stochastic volatility, variance term structure, arbitrage-free model, volatility derivatives, VIX futures

6.

Macroeconomic Volatilities and Long-Run Risks of Asset Prices

Number of pages: 38 Posted: 13 May 2009 Last Revised: 18 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,040 (18,964)
Citation 9

Abstract:

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Long-run Risk, Equity Risk Premium, Predictability, Variance Risk Premium

7.

Bitcoin: Learning and Predictability via Technical Analysis

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 02 Dec 2018
University of Denver - Daniels College of Business, Washington University in St. Louis - Olin Business School, University of Denver - Reiman School of Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 955 (21,591)

Abstract:

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Bitcoin, Cryptocurrency, Technical Analysis

8.

A Theory of Technical Trading Using Moving Averages

Number of pages: 45 Posted: 17 Sep 2013 Last Revised: 23 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 906 (23,335)

Abstract:

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Technical analysis, trend-following, asymmetric information

9.

Volatility Components: Evidence from VIX Futures Market

Number of pages: 33 Posted: 23 Sep 2008
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 602 (40,928)
Citation 1

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VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

10.

Volatility Components: The Term Structure Dynamics of VIX Futures

Journal of Futures Markets, Vol. 30, No. 3, pp. 230 - 256, April 2009
Number of pages: 33 Posted: 04 May 2010
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 560 (44,958)
Citation 4

Abstract:

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VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

11.

Why is the Recent Financial Crisis a ''Once-In-A-Century' Event?

Number of pages: 9 Posted: 27 Aug 2009
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 532 (47,965)
Citation 2

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financial crisis, Once-in-a-Century event, drawndown probability

12.

Volatility Trading: What is the Role of the Long-Run Volatility Component?

Number of pages: 49 Posted: 28 Apr 2010 Last Revised: 14 Dec 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 528 (48,442)
Citation 4

Abstract:

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Volatility Trading, Asset Allocation, Long-run Volatility

13.

Trend Factor and Cross Sectional Stock Return: Evidence from China

Number of pages: 40 Posted: 26 Jan 2018
Yangyang Liu and Yingzi Zhu
Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 109 (235,929)

Abstract:

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Trends, Moving Averages, Predictability, Momentum, Factor Models

14.

Are Investors Irrational? - Study on China Warrant Market

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 24 Posted: 21 Jan 2013
Yintian Wang and Yingzi Zhu
Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 106 (240,653)

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Warrant bubble, hedging motivation, rational speculation, put-call parity

15.

The Chinese Warrant Bubble: A Fundamental Analysis

Number of pages: 39 Posted: 11 Aug 2016
Yintian Wang, Guofu Zhou and Yingzi Zhu
Tsinghua University, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 91 (266,427)

Abstract:

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Warrant bubble, short-selling and margin constraints, put-call parity

16.

Perspectives: Is the Recent Financial Crisis Really a 'Once-in-A-Century' Event?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management

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Investment Theory, CAPM, APT, Pricing Theories, Risk Measurement and Management, Financial Markets

17.

VIX Futures

Journal of Futures Markets, Vol. 26, No. 6, pp. 521-531
Posted: 29 Aug 2005
Jin E. Zhang and Yingzi Zhu
University of Otago, Otago Business School, Department of Accountancy and Finance and Tsinghua University - School of Economics & Management

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VIX, VIX futures, square root process

Other Papers (1)

Total Downloads: 56    Citations: 0
1.

Dynamic Volatility Strategy with Recursive Utility

Number of pages: 38 Posted: 13 Mar 2006
Yingzi Zhu
Tsinghua University - School of Economics & Management
Downloads 56

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Portfolio Choice, Recursive Utility, Martingale Approach, Stochastic Volatility